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On the expectation of the product of four matrix-valued Gaussian random variables
P.H.M. Janssen,Petre Stoica +1 more
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In this paper, the expectation of the product of four scalar real Gaussian random variables is generalized to matrix-valued (real or complex) Gaussian Random Variables, and a simple derivation of the covariance matrix of instrumental variable estimates of parameters in multivariable regression models is presented.Abstract:
The formula for the expectation of the product of four scalar real Gaussian random variables is generalized to matrix-valued (real or complex) Gaussian random variables. As an application of the extended formula, a simple derivation is presented of the covariance matrix of instrumental variable estimates of parameters in multivariable regression models. >read more
Citations
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MUSIC, maximum likelihood, and Cramer-Rao bound
Petre Stoica,Nehorai Arye +1 more
TL;DR: The Cramer-Rao bound (CRB) for the estimation problems is derived, and some useful properties of the CRB covariance matrix are established.
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Performance study of conditional and unconditional direction-of-arrival estimation
Petre Stoica,Arye Nehorai +1 more
TL;DR: It is shown that many DOA estimation methods have the same asymptotic statistical properties under conditional and unconditional models.
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Compressive Wideband Power Spectrum Estimation
TL;DR: A solution is first presented based on a periodic sampling procedure and a simple least-squares reconstruction method that is able to recover the unknown power spectrum of a wide-sense stationary signal from the obtained sub-Nyquist rate samples and the statistical properties of the estimated power spectrum.
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Statistical analysis of MUSIC and subspace rotation estimates of sinusoidal frequencies
Petre Stoica,Torsten Söderström +1 more
TL;DR: Consideration is given to the analysis of the large-sample second-order properties of multiple signal classification (MUSIC) and subspace rotation (SUR) methods, such as ESPRIT, for sinusoidal frequency estimation.
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An Eigenstructure Method for Estimating DOA and Sensor Gain-Phase Errors
TL;DR: A new DOA estimation method based on the eigendecomposition of a covariance matrix which is constructed by the dot product of the array output vector and its conjugate is proposed.
References
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Journal Article
Spectral Analysis and Time Series
TL;DR: In this article, the authors introduce the concept of Stationary Random Processes and Spectral Analysis in the Time Domain and Frequency Domain, and present an analysis of Processes with Mixed Spectra.
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Kronecker products and matrix calculus in system theory
TL;DR: In this article, a review of the algebras related to Kronecker products is presented, which have several applications in system theory including the analysis of stochastic steady state.
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Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution (An Introduction)
Book
Instrumental Variable Methods for System Identification
Torsten Söderström,Petre Stoica +1 more
TL;DR: In this article, a tutorial overview of instrumental variable methods is given, and an analysis including consistency and asymptotic distribution of the parameter estimates is included, along with a comparison with the least-squares method.